Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Jan 06 (1D) | Jan 07 (2D) | Jan 08 (3D) | Jan 09 (4D) | Jan 12 (7D) | Jan 13 (8D) | Jan 14 (9D) | Jan 15 (10D) | Jan 16 (11D) | Jan 19 (14D) | Jan 23 (18D) | Jan 30 (25D) | Feb 06 (32D) | Feb 13 (39D) | Feb 20 (46D) | Feb 27 (53D) | Mar 06 (60D) | Mar 13 (67D) | Mar 20 (74D) | Mar 27 (81D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 683.327 | 681.114 | 679.416 | 677.984 | 674.535 | 673.559 | 672.642 | 671.775 | 670.951 | 668.680 | 666.004 | 661.958 | 658.449 | 655.307 | 652.437 | 649.778 | 647.289 | 644.942 | 642.714 | 640.590 |
| upper | 694.011 | 696.224 | 697.921 | 699.353 | 702.803 | 703.778 | 704.695 | 705.562 | 706.386 | 708.657 | 711.333 | 715.379 | 718.888 | 722.030 | 724.901 | 727.560 | 730.048 | 732.396 | 734.623 | 736.748 |
| expected move | 5.342 | 7.555 | 9.253 | 10.684 | 14.134 | 15.110 | 16.026 | 16.893 | 17.718 | 19.988 | 22.665 | 26.711 | 30.219 | 33.361 | 36.232 | 38.891 | 41.380 | 43.727 | 45.954 | 48.079 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
